Content of present website is being moved to www.lukoe.com/finance . Registration of www.opentradingsystem.com will be discontinued on 2020-08-14.
Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
Printable PDF file
I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
1. Calculational Linear Algebra.
2. Wavelet Analysis.
3. Finite element method.
A. Tutorial introduction into finite element method.
a. Variational formulation, essential and natural boundary conditions.
b. Ritz-Galerkin approximation.
c. Convergence of approximate solution. Energy norm argument.
d. Approximation in L2 norm. Duality argument.
e. Example of finite dimensional subspace construction.
f. Adaptive approximation.
B. Finite elements for Poisson equation with Dirichlet boundary conditions.
C. Finite elements for Heat equation with Dirichlet boundary conditions.
D. Finite elements for Heat equation with Neumann boundary conditions.
E. Relaxed boundary conditions for approximation spaces.
F. Convergence of finite elements applied to nonsmooth data.
G. Convergence of finite elements for generic parabolic operator.
4. Construction of approximation spaces.
5. Time discretization.
6. Variational inequalities.
VIII. Bibliography
Notation. Index. Contents.

Tutorial introduction into finite element method.


n this section we apply finite elements to a simple boundary problem. The techniques presented here are used repeatedly in all following sections pertaining to finite element method.

We consider the following problem.

Problem

(Toy problem) For a given MATH find a function MATH such that MATH




a. Variational formulation, essential and natural boundary conditions.
b. Ritz-Galerkin approximation.
c. Convergence of approximate solution. Energy norm argument.
d. Approximation in L2 norm. Duality argument.
e. Example of finite dimensional subspace construction.
f. Adaptive approximation.

Notation. Index. Contents.


















Copyright 2007